BackTesting Options using Black Scholes

Hey Folks,

I have interesting shares-based trading strategies that appear to work and give some edge, as shown by the backtest results in Amibroker. I am now interested in further developing the AFL code to buy a long call on a "Buy" signal and sell the long call on a "Sell" signal. Equivalently, I would like to go short by buying a long put for each "Short" signal and selling the long put for each "Cover" signal. Essentially, I am interested in trading option contracts rather than underlying shares.

Knowing that the Black-Scholes model gives an estimate of fair price, which differs from market pricing, how should one construct the model and AFL code to give meaningful backtest results on option contracts instead of shares. From @Tomasz's excellent User Guide, we have figured out how to add custom columns to the trades table where we can write the option premium upon entry(buy) and exit(sell) of each trade.

A manual method would be to export the trades table to Excel and create an options returns Equity Curve from the OptionsReturn = OptionPremiumExit - OptionPremiumEntry. Is it possible to push the options contract premium values into Amibroker at trade entry and exit to take advantage of all that @Tomasz has programmed so efficiently?

Thank you in advance for your thoughtful consideration of this request.

You can do this and it is described in the User's guide
How to add user-defined metrics to backtest/optimization report (Example 3)

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